Sprint Backtesting

S -- USA Stock  

USD 6.42  0.06  0.94%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Sprint Corporation and determine expected loss or profit from investing in Sprint over given investment horizon. Also please take a look at Sprint Hype Analysis, Sprint Correlation, Sprint Valuation, Sprint Volatility as well as analyze Sprint Alpha and Beta and Sprint Performance.
Horizon     30 Days    Login   to change

Sprint 'What if' Analysis

August 21, 2018
No Change 0.00  0.0%
In 31 days
September 20, 2018
If you would invest  0.00  in Sprint on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Sprint Corporation or generate 0.0% return on investment in Sprint over 30 days. Sprint is related to or competes with UTStarcom Holdings, ATT, Verizon Communications, Telephone, Zayo Group, and Level 3. Sprint Corporation, together with its subsidiaries, provides various wireless and wireline communications products and s...

Sprint Upside/Downside Indicators

Downside Deviation1.19
Information Ratio0.0167
Maximum Drawdown4.96
Value At Risk2.30
Potential Upside3.78

Sprint Market Premium Indicators

Risk Adjusted Performance0.0403
Jensen Alpha0.0205
Total Risk Alpha0.24
Sortino Ratio0.0216
Treynor Ratio0.1118

Sprint Backtested Returns

We consider Sprint moderately volatile. Sprint owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1171 which indicates Sprint had 0.1171% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Sprint Corporation which you can use to evaluate future volatility of the company. Please validate Sprint Semi Deviation of 0.882, Coefficient Of Variation of 1202.7 and Risk Adjusted Performance of 0.0403 to confirm if risk estimate we provide are consistent with the epected return of 0.1765%. Sprint has performance score of 7 on a scale of 0 to 100. The entity has beta of 1.0573 which indicates Sprint returns are very sensitive to returns on the market. as market goes up or down, Sprint is expected to follow.. Although it is extremely important to respect Sprint current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting Sprint technical indicators you can presently evaluate if the expected return of 0.1765% will be sustainable into the future. Sprint right now has a risk of 1.507%. Please validate Sprint Total Risk Alpha, Downside Variance as well as the relationship between Downside Variance and Daily Balance Of Power to decide if Sprint will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 

Modest reverse predictability

Sprint Corporation has modest reverse predictability. Overlapping area represents the amount of predictability between Sprint time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sprint price movement. The serial correlation of -0.46 indicates that about 46.0% of current Sprint price fluctuation can be explain by its past prices. Given that Sprint Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Sprint for similar time interval.
Correlation Coefficient-0.46
Spearman Rank Test-0.58
Residual Average0.0
Price Variance0.03

Sprint lagged returns against current returns

 Current and Lagged Values 

Sprint regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Sprint Lagged Returns

 Regressed Prices 

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Also please take a look at Sprint Hype Analysis, Sprint Correlation, Sprint Valuation, Sprint Volatility as well as analyze Sprint Alpha and Beta and Sprint Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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